LEADER 04951oam 22011294 450 001 9910971217303321 005 20250426110603.0 010 $a9786612844317 010 $a9781462386031 010 $a1462386032 010 $a9781452786384 010 $a1452786380 010 $a9781451873771 010 $a1451873778 010 $a9781282844315 010 $a1282844318 035 $a(CKB)3170000000055374 035 $a(SSID)ssj0000941193 035 $a(PQKBManifestationID)11588689 035 $a(PQKBTitleCode)TC0000941193 035 $a(PQKBWorkID)10963487 035 $a(PQKB)10871018 035 $a(OCoLC)680613662 035 $a(IMF)WPIEE2009230 035 $a(MiAaPQ)EBC1608853 035 $a(IMF)WPIEA2009230 035 $aWPIEA2009230 035 $a(EXLCZ)993170000000055374 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aGlobal Market Conditions and Systemic Risk /$fBrenda Gonzalez-Hermosillo, Heiko Hesse 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a22 p. $cill 225 1 $aIMF Working Papers 300 $a"October 2009." 311 08$a9781451917956 311 08$a1451917953 327 $aIntro -- Contents -- I. Introduction -- II. Overview of Systemic Risk -- III. Global Market Conditions and Systemic Risk: A Qualitative View -- IV. Markov-Regime Switching Analysis -- A. Results During the Peak of the Crisis -- B. Results After Massive Government Programs in 2009 to Address the Global Crisis -- V. Conclusion -- Figures -- 1. Euro-Dollar Forex Swap -- 2. Markov-Switching ARCH Model of VIX -- 3. Markov-Switching ARCH Model of TED Spread -- 4. Euro-Dollar Forex Swap -- 5a. Markov-Switching ARCH Model of VIX -- 5b. Markov-Switching ARCH Model of VIX -- 6a. Markov-Switching ARCH Model of TED Spread -- 6b. Markov-Switching ARCH Model of TED Spread. 330 3 $aThis paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a watershed event in the crisis, although signs of heightened systemic risk could be detected as early as February 2007. In addition, we analyze the role of global market conditions to help determine when governments should begin to exit their extraordinary public support measures. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/230 606 $aGlobal Financial Crisis, 2008-2009 606 $aFinancial crises$xEconometric models 606 $aRisk management$xEconometric models 606 $aTime-series analysis$xEconometric models 606 $aCurrency markets$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aFinance$2imf 606 $aFinance: General$2imf 606 $aFinancial Crises$2imf 606 $aFinancial crises$2imf 606 $aFinancial Risk Management$2imf 606 $aFinancial risk management$2imf 606 $aForeign exchange market$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aInterbank markets$2imf 606 $aInternational finance$2imf 606 $aInternational Financial Markets$2imf 606 $aStock exchanges$2imf 606 $aStock markets$2imf 606 $aSystemic risk$2imf 607 $aUnited States$2imf 615 0$aGlobal Financial Crisis, 2008-2009. 615 0$aFinancial crises$xEconometric models. 615 0$aRisk management$xEconometric models. 615 0$aTime-series analysis$xEconometric models. 615 7$aCurrency markets 615 7$aEconomic & financial crises & disasters 615 7$aFinance 615 7$aFinance: General 615 7$aFinancial Crises 615 7$aFinancial crises 615 7$aFinancial Risk Management 615 7$aFinancial risk management 615 7$aForeign exchange market 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aInterbank markets 615 7$aInternational finance 615 7$aInternational Financial Markets 615 7$aStock exchanges 615 7$aStock markets 615 7$aSystemic risk 676 $a337 700 $aGonzalez-Hermosillo$b Brenda$01816479 701 $aHesse$b Heiko$01816008 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910971217303321 996 $aGlobal Market Conditions and Systemic Risk$94372583 997 $aUNINA